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Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods · Study

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ChapterFinancial Applications of Monte Carlo and Quasi-Monte Carlo Methods

Shu Tezuka1998

Chapter1998

Financial Applications of Monte Carlo and Quasi-Monte Carlo Methods

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Approximation and Integration

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References

1973The Pricing of Options and Corporate Liabilities 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1987Stochastic Simulation 1977Options: A Monte Carlo approach 1997Monte Carlo methods for security pricing 1991Gradient Estimation via Perturbation Analysis

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2004Evaluating of path-dependent securities with low discrepancy methods

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Details

Year1998

Typechapter

Published1998-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4612-1702-2_7

openalex_workW102033142

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